Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution

Details Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution

2008-12-18

arxiv.org/abs/0812.3485v2

Annals of Statistics 2009, Vol. 37, No. 5B, 2953-2989

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/08-AOS677 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/08-AOS677

Consider a random sample from a bivariate distribution function $F$ in the max-domain of attraction of an extreme-value distribution function $G$. This $G$ is characterized by two extreme-value indices and a spectral measure, the latter determining the tail dependence structure of $F$. A major issue in multivariate extreme-value theory is the estimation of the spectral measure $\Phi_p$ with respect to the $L_p$ norm. For every $p\in[1,\infty]$, a nonparametric maximum empirical likelihood estimator is proposed for $\Phi_p$. The main novelty is that these estimators are guaranteed to satisfy the moment constraints by which spectral measures are characterized. Asymptotic normality of the estimators is proved under conditions that allow for tail independence. Moreover, the conditions are easily verifiable as we demonstrate through a number of theoretical examples. A simulation study shows a substantially improved performance of the new estimators. Two case studies illustrate how to implement the methods in practice.

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